[R] Multivariate Maximum Likelihood Estimation

From: Konrad BLOCHER <kb25532_at_sgh.waw.pl>
Date: Wed, 6 Feb 2008 12:11:44 +0100 (CET)


I am trying to perform Maximum Likelihood estimation of a Multivariate model (2 independent variables + intercept) with autocorrelated errors of 1st order (ar(1)).

Does R have a function for that? I could only find an univariate option (ar.mle function) and when writing my own I find that it is pretty memory-consuming (and sometimes wrong) so there must be a better way.



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